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What does L2 mean?
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Allan Havemose
Sent: Monday, February 25, 2002 2:29 PM
To: metastock@xxxxxxxxxxxxx
Subject: Re: information frequency vs tradeability
Rudolf,
with the risk of sounding like a teacher, I dont believe you have your
facts straight. The most general version of Fourier (incl sampling
theorem) that I'm aware of requires the underlying function to be L2.
All the data I've seen on stock prices certainly doesn't indicate that
they are L2. I don't remember where I saw it, but I believe that there
is even research indicating that the variance is ever increasing, hence
no chance of every being L2.
Allan
--- rudolf stricker <lists@xxxxxxxxxxx> wrote:
>
> Allan,
>
> On Fri, 22 Feb 2002 15:31:48 -0800 (PST), you wrote:
>
> >one thing to remember, is that the fourier theory, sampling theorem
> >etc. are not valid on stock price data.
>
> Imho, you are simply wrong here. As a basic theorem for discreet time
> series, Fourier's sampling theorem of course is valid also for stock
> price data in the sense of a _necessary_ (not sufficient) condition,
> because it _is_ a piece of essence for all discreet (time) series.
>
> >Most of those theorems make
> >fairly strong assumptions regarding the underlying function and
> metric.
>
> Can you please list some of these assumptions for Fourier's sampling
> theorem, that might not be fulfilled for discreet stock price data ?
>
> mfg rudolf stricker
> | Disclaimer: The views of this user are strictly his own.
=====
---
Allan Havemose, Ph.D.
havemose@xxxxxxxxxx
havemose@xxxxxxxxx
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